Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Nov 13 (1D) | Nov 14 (2D) | Nov 17 (5D) | Nov 18 (6D) | Nov 19 (7D) | Nov 20 (8D) | Nov 21 (9D) | Nov 24 (12D) | Nov 25 (13D) | Nov 26 (14D) | Nov 28 (16D) | Dec 05 (23D) | Dec 12 (30D) | Dec 19 (37D) | Dec 26 (44D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 677.117 | 674.522 | 669.375 | 668.038 | 666.809 | 665.665 | 664.59 | 661.683 | 660.797 | 659.945 | 658.327 | 653.342 | 649.075 | 645.282 | 641.834 |
| upper | 689.643 | 692.238 | 697.385 | 698.722 | 699.951 | 701.095 | 702.17 | 705.077 | 705.963 | 706.815 | 708.433 | 713.418 | 717.685 | 721.478 | 724.926 |
| expected move | 6.263 | 8.858 | 14.005 | 15.342 | 16.571 | 17.715 | 18.79 | 21.697 | 22.583 | 23.435 | 25.053 | 30.038 | 34.305 | 38.098 | 41.546 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
